We model the impact of supply and demand on risk premiums in electricity futures, using daily data for 2003–2014. The model provides a satisfactory fit and allows for unspanned economic risk not embedded in futures prices. Model-implied spot risk premiums and forward biases are large, negative, highly time-varying, and exhibit plausible seasonal patterns. They differ from existing models, especially in periods of market turmoil, have not decreased in size over time, and help predict future returns. Both demand and supply have an economically significant impact on risk premiums. The risk premium associated with supply is characterized by large positive outliers.